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van der Stoep, A.W. (author), Grzelak, L.A. (author), Oosterlee, C.W. (author)
We discuss a competitive alternative to stochastic local volatility models, namely the Collocating Volatility (CV) framework, introduced in [L. A. Grzelak (2019) The CLV framework-A fresh look at efficient pricing with smile, International Journal of Computer Mathematics 96 (11), 2209-2228]. The CV framework consists of two elements, a ...
journal article 2020